void RunTemp_OptimizerType()
{
StrategyBaseInput input = new StrategyBaseInput();
input.ReadStartDate = new DateTime(1990, 1, 1);
input.StartDate = new DateTime(2001, 1, 1);
input.EndDate = new DateTime(2011, 5, 1);
input.EndDate = DateTime.Now;
input.InitInvestAmount = 1000000000;
GeneralOptimizer strategy = new GeneralOptimizer("", input);
strategy.Build();
for (int i = 0; i < 20; ++i)
{
double weight = 0.5 + 0.1 * i;
//KrxCreditDepositRateAdjustment cdAdj2 = new KrxCreditDepositRateAdjustment(new CreditPolicyWithUpDownMA(weight));
//strategy.AddAdjustment(cdAdj2, String.Format("({0:n2})", weight));
//MaeBokRateAdj adj = new MaeBokRateAdj(new BokRatePolicy_Static(), weight);
ExcelAdj adj = new ExcelAdj("data\\LinMacEquityAdj.xlsx", "Sheet1", weight);
strategy.AddAdjustment(adj, String.Format("ExcelAdj ({0:n2})", weight));
}
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
void RunTemp()
{
StrategyBaseInput input = new StrategyBaseInput();
input.StartDate = new DateTime(2001, 1, 1);
input.EndDate = new DateTime(2011, 5, 1);
//input.EndDate = DateTime.Now;
input.InitInvestAmount = (long)100 * 100000000;
DefaultStrategy strategy = new DefaultStrategy("", input);
strategy.SetBaseAlloc(new StaticAlloc(0.33, 0.33, 0.34));
strategy.Build();
DollarPriceAdj dollarPriceAdj = new DollarPriceAdj(0.9);
KrxCreditDepositRateAdjustment cdAdj = new KrxCreditDepositRateAdjustment(new CreditPolicyWithMA(1.5));
KrxCreditDepositRateAdjustment cdAdj2 = new KrxCreditDepositRateAdjustment(new CreditPolicyWithUpDownMA(1.5));
MaeKoVolAdj maeAdj = new MaeKoVolAdj(1.2);
MaeBokRateAdj maeBokRateAdj = new MaeBokRateAdj(new BokRatePolicy_Static(), 1.0);
MacroAA_Adj macroAA_Adj = new MacroAA_Adj();
ExcelAdj excelAdj = new ExcelAdj("data\\LinMacEquityAdj.xlsx", "Sheet1", 0.8);
//ExcelAdj excelAdj = new ExcelAdj("LinMacEquityAdj.xlsx", "LinMacEquityAdj_result");
//strategy.AddAdjustment(dollarPriceAdj, "DP");
////strategy.AddAdjustment(cdAdj, "CD1");
strategy.AddAdjustment(cdAdj2, "CD2");
strategy.AddAdjustment(maeAdj, "MaeKoVol");
strategy.AddAdjustment(maeBokRateAdj, "MaeBokRate");
strategy.AddAdjustment(macroAA_Adj, "MacroAA");
strategy.AddAdjustment(excelAdj, "LinMacEquityAdj");
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
void RunKrxCreditDepositRateOptimizerExperiment()
{
StrategyBaseInput input = new StrategyBaseInput();
//input.StartDate = new DateTime(2001, 1, 1);
input.StartDate = new DateTime(2006, 1, 1);
input.EndDate = new DateTime(2011, 5, 1);
input.EndDate = DateTime.Now;
input.InitInvestAmount = 1000000000;
GeneralOptimizer strategy = new GeneralOptimizer("KrxCreditDepositRateOptimizer", input);
strategy.Build();
for (int i = 0; i < 20; ++i)
{
double weight = 0.5 + 0.1 * (double)i;
strategy.AddAdjustment(new KrxCreditDepositRateAdjustment(new CreditPolicyStatic(weight)),
String.Format("Static ({0:n2})", weight));
strategy.AddAdjustment(new KrxCreditDepositRateAdjustment(new CreditPolicyWithMA(weight)),
String.Format("MA ({0:n2})", weight));
}
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
void RunStaticAllocOptimizerExperiment()
{
StrategyBaseInput input = new StrategyBaseInput();
input.StartDate = new DateTime(2001, 1, 1);
input.EndDate = DateTime.Now;
input.InitInvestAmount = 1000000000;
IStrategy strategy = new StaticAllocOptimizer("StaticAllocOptimizer", input);
strategy.Build();
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
void RunDollarPriceAdjExperiment()
{
StrategyBaseInput input = new StrategyBaseInput();
input.StartDate = new DateTime(2001, 1, 1);
//input.StartDate = new DateTime(2006, 1, 1);
input.EndDate = new DateTime(2011, 5, 1);
input.EndDate = DateTime.Now;
input.InitInvestAmount = 1000000000;
GeneralOptimizer strategy = new GeneralOptimizer("DollarPriceOptimizer", input);
strategy.Build();
for (int i = 0; i < 20; ++i)
{
double weight = 0.5 + 0.1 * (double)i;
//double weight = i;
strategy.AddAdjustment(new DollarPriceAdj(weight), String.Format("{0:n2}", weight));
}
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
